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Income Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


Performance

Performance Chart


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The earliest data available for this chart is Jan 29, 2009, corresponding to the inception date of IGOV

Returns By Period

As of May 11, 2025, the Income Portfolio returned 3.05% Year-To-Date and 2.94% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-3.77%7.44%-5.60%8.37%14.12%10.46%
Income Portfolio3.05%2.69%1.36%6.70%1.83%2.94%
BND
Vanguard Total Bond Market ETF
2.21%0.98%1.19%5.53%-0.78%1.51%
VTI
Vanguard Total Stock Market ETF
-3.75%7.98%-5.68%9.17%15.27%11.77%
IGOV
iShares International Treasury Bond ETF
7.70%1.75%4.23%6.96%-3.19%-0.89%
VEA
Vanguard FTSE Developed Markets ETF
12.77%11.62%8.93%10.01%11.74%5.66%
*Annualized

Monthly Returns

The table below presents the monthly returns of Income Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20251.16%1.40%-0.51%1.45%-0.47%3.05%
2024-0.57%-0.15%1.29%-2.89%2.28%0.73%2.51%1.87%1.48%-2.67%1.61%-2.31%3.01%
20234.24%-3.13%2.99%0.78%-1.43%1.22%0.65%-1.28%-3.18%-1.73%5.76%4.28%9.03%
2022-2.79%-1.46%-1.94%-5.41%0.62%-3.47%3.51%-3.75%-5.63%0.87%5.21%-1.75%-15.39%
2021-0.90%-0.84%-0.51%1.70%0.58%0.50%1.30%0.20%-1.90%1.06%-0.47%0.40%1.06%
20201.20%-0.47%-3.98%4.12%1.73%1.19%2.63%0.74%-0.86%-0.83%3.68%1.47%10.86%
20192.57%0.44%1.59%0.58%0.14%2.58%-0.07%1.69%-0.16%0.82%0.29%0.69%11.69%
20180.63%-1.65%0.40%-0.79%0.39%-0.09%0.48%0.63%-0.40%-2.35%0.77%0.04%-1.97%
20170.83%0.95%0.28%1.09%1.19%0.30%1.22%0.74%-0.02%0.23%0.66%0.75%8.53%
2016-0.16%0.85%2.53%0.78%-0.17%1.69%1.40%-0.34%0.34%-1.73%-1.99%0.54%3.70%
20150.79%0.17%-0.16%0.50%-0.73%-1.22%0.89%-1.37%0.05%1.47%-0.61%-0.33%-0.59%
20140.30%1.66%-0.03%0.85%1.07%0.66%-0.82%1.32%-1.60%0.69%0.76%-0.36%4.54%

Expense Ratio

Income Portfolio has an expense ratio of 0.08%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.


Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Income Portfolio is 74, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Income Portfolio is 7474
Overall Rank
The Sharpe Ratio Rank of Income Portfolio is 8282
Sharpe Ratio Rank
The Sortino Ratio Rank of Income Portfolio is 8282
Sortino Ratio Rank
The Omega Ratio Rank of Income Portfolio is 7878
Omega Ratio Rank
The Calmar Ratio Rank of Income Portfolio is 5555
Calmar Ratio Rank
The Martin Ratio Rank of Income Portfolio is 7272
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BND
Vanguard Total Bond Market ETF
1.001.451.170.422.54
VTI
Vanguard Total Stock Market ETF
0.470.831.120.511.94
IGOV
iShares International Treasury Bond ETF
0.721.111.130.201.41
VEA
Vanguard FTSE Developed Markets ETF
0.591.001.130.802.42

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Income Portfolio Sharpe ratios as of May 11, 2025 (values are recalculated daily):

  • 1-Year: 1.08
  • 5-Year: 0.26
  • 10-Year: 0.49
  • All Time: 0.78

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.41 to 0.94, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Income Portfolio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


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Dividends

Dividend yield

Income Portfolio provided a 2.87% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio2.87%2.84%2.38%2.10%1.70%1.75%2.22%2.35%2.07%2.18%2.14%2.47%
BND
Vanguard Total Bond Market ETF
3.75%3.67%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%
VTI
Vanguard Total Stock Market ETF
1.35%1.27%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%
IGOV
iShares International Treasury Bond ETF
0.55%0.59%0.00%0.11%0.39%0.00%0.24%0.31%0.19%0.69%0.22%1.28%
VEA
Vanguard FTSE Developed Markets ETF
2.91%3.36%3.16%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


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Worst Drawdowns

The table below displays the maximum drawdowns of the Income Portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Income Portfolio was 21.20%, occurring on Oct 20, 2022. The portfolio has not yet recovered.

The current Income Portfolio drawdown is 3.34%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-21.2%Sep 3, 2021285Oct 20, 2022
-10.79%Mar 9, 20209Mar 19, 202049May 29, 202058
-5.77%Feb 10, 200919Mar 9, 200918Apr 2, 200937
-4.59%May 9, 201332Jun 24, 201381Oct 17, 2013113
-4.48%Jan 29, 2018229Dec 24, 201842Feb 26, 2019271

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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Diversification

Diversification Metrics


Number of Effective Assets

The portfolio contains 4 assets, with an effective number of assets of 2.19, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

^GSPCBNDIGOVVTIVEAPortfolio
^GSPC1.00-0.130.130.990.830.61
BND-0.131.000.44-0.12-0.080.54
IGOV0.130.441.000.130.330.67
VTI0.99-0.120.131.000.830.61
VEA0.83-0.080.330.831.000.68
Portfolio0.610.540.670.610.681.00
The correlation results are calculated based on daily price changes starting from Jan 30, 2009

AI Insight on Diversification


The portfolio is moderately diversified, with a mix of fixed income and equity positions that exhibit varying degrees of correlation. The correlation matrix reveals that VTI (a U.S. total stock market ETF) and VEA (an international developed markets equity ETF) are highly correlated at 0.83, which suggests some overlap in equity exposure and slightly limits diversification within the equity portion. On the other hand, BND (a U.S. aggregate bond ETF) shows low to negative correlations with the equity ETFs (VTI at -0.12 and VEA at -0.08), which enhances diversification by providing a buffer against equity market fluctuations.

IGOV (an international government bond ETF) has moderate positive correlations with both BND (0.44) and the equity ETFs (0.13 with VTI and 0.33 with VEA), positioning it as a bridging asset that adds some diversification benefits but also links the fixed income and equity segments somewhat.

Regarding the portfolio’s correlation with individual positions, VEA (0.68) and IGOV (0.67) have the highest correlations, indicating these positions have a stronger influence on the portfolio’s overall behavior. BND’s correlation with the portfolio is lower (0.54), despite being a significant fixed income holding, suggesting it contributes to diversification by not moving in perfect tandem with the portfolio. VTI’s correlation with the portfolio is 0.61, reflecting its meaningful but not dominant role.

No single position overwhelmingly dominates the portfolio, but the relatively high correlations of VEA and IGOV with the portfolio imply these holdings have a greater impact on portfolio returns and risk. The presence of both U.S. and international equities alongside domestic and international bonds indicates a thoughtful allocation across asset classes and geographies.

In summary, the portfolio is reasonably diversified, balancing equity and fixed income exposures with generally moderate correlations. The high correlation between VTI and VEA slightly reduces equity diversification, but the low or negative correlations of bonds with equities help maintain overall portfolio balance. This structure suggests a portfolio designed to generate income with a controlled level of risk through diversification rather than concentration.

Last updated May 11, 2025